Throughout this section, we carry out a comparative simulation study with the state-of-art competitors available in R packages for changepoint detection problem in exponential families. Unless otherwise specified, the competitors are implemented under the default settings in their packages. For Gaussian model, some of our competitors use the estimated value of the standard deviation \(\sigma \) . To make the comparison as fair as possible, we also implement the median absolute deviation estimator for \(\sigma \)  while running our procedure, which is the one adopted in [1]} and [2]}.
